To the North Koreans, it is beyond comprehension that people living in the US made something, rather than the US government making it. To them, if Americans made it, that means America made it.
This misunderstanding isn't limited to works coming out of the US of course. Another example of this failure to comprehend freedom of expression is the aftermath of the Muhammad cartoons published by some Danish newspapers. Enraged extremists around the world began rioting in front of Danish Embassies, as though the cartoons were drawn, commissioned, or even approved by the Danish government.
See also: The souring of Chinese-Norwegian relations after the Norwegian Nobel Committee (which is a private organization which awards a private prize, despite having some members selected by Norwegian parliament) awarded the 2010 Nobel Peace Prize to Liu Xiaobo.
The Peace Prize is a bit closer to the Norwegian government than that. Alfred Nobel left that part of his will directly to the Norwegian Parliament, not to a private organization, and he tasked the Parliament with using the money to establish a peace prize. The Parliament established a committee, the Nobel Committee, to administer the award, and traditionally its members were a subset of standing members of Parliament, with the partisan makeup of the Nobel Committee reflecting each party's representation in Parliament.
In recent years they have instituted a rule that current parliamentarians can't sit on the committee, and instead retired parliamentarians are chosen, to given it slightly more distance. But they're still 100% selected by Parliament, and allocated to each party in proportion to party representation in the Parliament.
Nobel may not have set it up that way personally, but that is how it is currently set up.
Then again, there have been some eyebrow raising choices over the years.
For example, the current committee has the following members: Thorbjørn Jagland (Labour Party), Kaci Kullmann Five (Conservatives), Inger-Marie Ytterhorn (Progress Party), Berit Reiss-Andersen (Labour Party), Gunnar Stålsett (Centre Party).
A slightly different way of putting it might be: the Nobel Prize is awarded jointly by the major political parties of Norway, via their chosen representatives.
Ironically though, there are reports that this is exactly what happened: "U.S. government approved 'The Interview's' assassination scene, Sony emails allege" (http://www.dailydot.com/entertainment/sony-hack-emails-the-i...)
If North Korea suddenly became a US ally, though, it would happen eventually.
Hollywood has often been a front for US policymakers to covertly influence domestic opinion. You may be oblivious to this, but I doubt the North Koreans are.
The likelihood of Hollywood releasing a movie that praises the Nazis is virtually nil, but that has fuck-all to do with "blurred distinctions" between Hollywood and the US Government.
And yes, that was everything to do with the US government.
God knows this isn't the first time North Korea has been the butt of jokes, but it is the first time it was done so publicly, on such a large scale, directly out of hollywood, that the entire world then consumes. To not respond would appear weak, I think.
edit -
Propaganda [mass noun] Information, especially of a biased or misleading nature, used to promote a political cause or point of view.
Lots of films, many I particularly like, are propaganda films.
Pleading comedy or satire doesn't prevent something being propaganda, and featuring the slow-motion fiery death of the leader of a country that you have bombed and not yet made peace with, I think qualifies.